NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of
preliminary ratings to 15 classes of WFCM 2019-C51 (see ratings list
below), a $729.5 million CMBS conduit transaction collateralized by 53
commercial mortgage loans secured by 105 properties.
The collateral properties are located in 25 states, with three states
representing more than 10.0% of the pool balance: California (18.6%),
Pennsylvania (13.5%) and Arizona (11.2%). The pool has exposure to most
of the property types, with the top three being office (38.5%), retail
(27.5%), and mixed-use (10.6%). The loans have principal balances
ranging from $1.3 to $71.0 million for the largest loan in the pool,
Nova Place (9.7%), which is secured by a 1.1 million sf office
condominium complex located in Pittsburgh, Pennsylvania. The five
largest loans, which also include 188 Spear Street (6.4%), 450-460 Park
Avenue South (6.2%), El Con Center (6.2%), and Shetland Park (6.2%),
represent 34.7% of the initial pool balance, while the top 10 loans
KBRA’s analysis of the transaction incorporated our multi-borrower
rating process that begins with our analysts’ evaluation of the
underlying collateral properties’ financial and operating performance,
which determine KBRA’s estimate of sustainable net cash flow (KNCF) and
KBRA value using our U.S.
CMBS Property Evaluation Methodology. On an aggregate basis,
KNCF was 8.3% less than the issuer cash flow. KBRA capitalization rates
were applied to each asset’s KNCF to derive values that were, on an
aggregate basis, 37.5% less than third party appraisal values. The pool
has an in-trust and all-in KLTV of 100.8%. The model deploys rent and
occupancy stresses, probability of default regressions, and loss given
default calculations to determine losses for each collateral loan that
are then used to assign our credit ratings.
For complete details on the analysis, please see our pre-sale report
published at www.kbra.com.
The preliminary ratings are based on information known to KBRA at the
time of this publication. Information received subsequent to this
release could result in the assignment of ratings that differ from the
Preliminary Ratings Assigned: WFCM 2019-C51
|Class||Initial Class Balance||Expected KBRA Rating|
|A-3||$50,000,000 – $200,000,0001||AAA (sf)|
|A-4||$213,326,000 – $363,326,0001||AAA (sf)|
|D||$9,119,000 – $13,678,0001||BBB+ (sf)|
|E-RR2||$23,708,000 – $28,267,0001||BBB- (sf)|
|X-D3||$9,119,000 – $13,678,0001||BBB+ (sf)|
1 The exact initial certificate balance (and corresponding
notional balance of the Class X-D certificates) will be determined at
2 In satisfaction of the US Risk Retention rules, these
classes are expected to be purchased and retained by a third-party
purchaser on the closing date. Such classes will represent an “eligible
horizontal residual interest” and will represent at least 5.0% of the
fair market value of all non-residual certificates issued.
3 Notional balance.
To access ratings, reports and disclosures, click here.
Related Publications: (available at www.kbra.com)
2019-C51 Pre-Sale Report
2019-C51 KBRA Conduit KCAT
CMBS Multi-Borrower Rating Methodology
CMBS Property Evaluation Methodology
for Rating Interest-Only Certificates in CMBS Transactions
Structured Finance Counterparty Methodology
About KBRA and KBRA Europe
KBRA is a full-service credit rating agency registered with the U.S.
Securities and Exchange Commission as an NRSRO. In addition, KBRA is
designated as a designated rating organization by the Ontario Securities
Commission for issuers of asset-backed securities to file a short form
prospectus or shelf prospectus. KBRA is also recognized by the National
Association of Insurance Commissioners as a Credit Rating Provider, and
is a certified Credit Rating Agency (CRA) by the European Securities and
Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is
registered with ESMA as a CRA.
Christina Chou, Associate
Sacheen Shah, Director
Michael Brown, Managing Director
Dayna Carley, Senior Director